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TotalVariation

TotalVariation[matrix]
gives the total variation for matrix.
  • TotalVariation[matrix] effectively gives the trace of the covariance matrix for matrix.
Total variation of bivariate data:
Needs["MultivariateStatistics`"]
Total variation of bivariate data:
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Total variation is equivalent to the trace of the covariance matrix:
Total variation is equivalent to the sum of column variances: